Option Pricing For Jump Diffusions: Approximations and Their Interpretation (Q4372009)
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scientific article; zbMATH DE number 1106696
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| English | Option Pricing For Jump Diffusions: Approximations and Their Interpretation |
scientific article; zbMATH DE number 1106696 |
Statements
Option Pricing For Jump Diffusions: Approximations and Their Interpretation (English)
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21 January 1998
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European contingent claims
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jump-diffusion models
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approximations
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discrete-time models
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mean self-financing and risk-minimizing strategies
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computable approximation
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European call option
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jump-diffusion model
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0.96107733
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0.95180595
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0.9490576
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0.9487456
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0.9430524
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0.94088376
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0.9403712
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